First Trust Market Risk Adjusted Performance
| DTRE ETF | | | USD 42.14 0.13 0.31% |
Market Risk-Adjusted Performance (MRAP) measures return relative to systematic risk (beta) rather than total risk (standard deviation). This isolates the return earned per unit of market exposure, filtering out idiosyncratic volatility that can be diversified away. Below is First Trust's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
First Trust has a Market Risk Adjusted Performance of 0.1022, indicating positive but modest risk-adjusted return. First Trust has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.1022 | |
| ER[a] | = | Expected return on investing in First Trust |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
| BETA | = | Beta of the asset with market or selected benchmark. |
Market Risk Adjusted Performance Peers Comparison
Among sector peers, First Trust's Market Risk Adjusted Performance of 0.1022 is below the 0.18 group average. The range runs from 0.0554 (TrueShares Structured Outcome) to 0.7877 (Virtus Real Asset). First Trust's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Market Risk Adjusted Performance Relative To Other Indicators
The chart below plots Market Risk Adjusted Performance against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Market Risk Adjusted Performance while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
With Market Risk Adjusted Performance at
0.10 and Maximum Drawdown at
4.41 , First Trust shows a
43.16 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Market Risk Adjusted Performance currently stands at 0.1022. First Trust's Market Risk Adjusted Performance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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